Yes, there must be a star in the system before 'create planet' will work. Dunno why. I wish there was an 'asteroid collector' component to create asteroid fields, and then that you could create a planet in any system regadless of the presence of a star. You could corral some asteroids and build a planet in the midst of a nebula. The perfect secret base!
But by the time you had the tech to do it, I guess everyone else would have the tech to detect it.